A strong firewall is one of the best defenses against malicious software attacks on your system. Newcomers to computer security who aren't running a firewall should check out Yahoo's Tech Security Guide on the matter. The key point is that anti-virus alone is not enough to protect your computer:

A firewall plugs the security holes ... and blocks that bad, random traffic from coming through to your computer. Anti-virus won't help you in many of these cases. You really need a firewall to stop a lot of this stuff.

Most home Wi-Fi routers have a firewall built-in, and at the office the IT department most likely has you covered. But when your PC is out and about on open networks, are you content to rely on Windows' built-in firewall, or do you use a third-party app? Educate us in the comments. (And Mac users, here's how to turn on Leopard's off-by-default, built-in firewall.)